Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Tokio Marine Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Tokio Marine Holdings, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 29.3%, drawdown -69.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 25.2%, MDD -60.8%, Sharpe 0.30, 69% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=42, slow=193 |
25.2% | -60.8% | 0.30 | 0.41 | 398.1x | 35 | 69% |
| SMA 크로스오버 fast=38, slow=99 |
23.5% | -70.5% | 0.29 | 0.33 | 278.3x | 69 | 60% |
| Donchian 채널 돌파 entryN=28, exitN=79 |
20.3% | -75.8% | 0.28 | 0.27 | 137.4x | 63 | 75% |
| 볼린저 밴드 돌파 n=59, k=3.1 |
21.1% | -35.6% | 0.27 | 0.59 | 165.9x | 42 | 19% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=11, mult=1.5 |
15.9% | -64.4% | 0.25 | 0.25 | 51.1x | 194 | 46% |
| Supertrend period=14, mult=5 |
13.9% | -85.4% | 0.25 | 0.16 | 31.8x | 96 | 57% |
| ROC 모멘텀 n=67, threshold=0.14 |
14.1% | -67.9% | 0.24 | 0.21 | 33.5x | 254 | 21% |
| Parabolic SAR step=0.005, maxStep=0.24 |
5.6% | -87.9% | 0.19 | 0.06 | 4.3x | 222 | 54% |
| ADX / DI 방향성 period=38, threshold=23 |
1.4% | -26.4% | 0.19 | 0.05 | 1.4x | 18 | 7% |
| MACD fast=19, slow=56, signal=17 |
1.0% | -93.4% | 0.17 | 0.01 | 1.3x | 314 | 51% |
| Buy and hold | 29.3% | -69.5% | 0.32 | 0.42 | 936.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 42-day EMA crosses above the 193-day EMA
- Sell — Sell when the 42-day EMA falls below the 193-day EMA